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Saeidinezhad, 2022 - Google Patents

A Hierarchical-Dealer-Centric Model of FX Swap Valuation

Saeidinezhad, 2022

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Document ID
6703165111075531490
Author
Saeidinezhad E
Publication year
Publication venue
Available at SSRN 3970130

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Snippet

This paper constructs a model of foreign exchange (FX) swap valuation based on dealers' behavior and the hierarchy of the global dollar funding system. International investors use these currency derivatives to synthetically fill their US-dollar funding gaps. In this model …
Continue reading at papers.ssrn.com (PDF) (other versions)

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